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Building a custom platform for automated trading with Louise!
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Created: by littlecompscigirl Attachments:0

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Building a custom platform for automated trading with Louise!

  #1 (permalink)
Amsterdam, Netherlands
 
 
Posts: 9 since Feb 2015
Thanks: 0 given, 6 received

Building a custom platform for automated trading with Louise!

I'm starting this thread to discuss ideas and challenges around building a custom platform for automated trading on CME. Ask me any questions and feel free to critique!

About me: I started an account with $25,000 today. My goal is to trade a max position of 50 contracts of ES within 3 months using my own platform. I'm a junior mathematics and CS major in college on an exchange program in Europe right now.

My first project is to build a data feed for CME.

~~Louise

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  #2 (permalink)
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  #3 (permalink)
Amsterdam, Netherlands
 
 
Posts: 9 since Feb 2015
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I established a 10G connection to CME and started storing data. The data comes via UDP streams and looks like this when parsed.

 
Code
        NoMDEntries (268): 1
        NoOrderIDEntries (37705): 1
        Entry 1
            OrderID (37): 8016711247293
            MDDisplayQty (37706): 10
            ReferenceID (9633): 1
            OrderUpdateAction (37708): Update

        NoMDEntries (268): 1
        NoOrderIDEntries (37705): 1
        Entry 1
            OrderID (37): 844980153910
            MDDisplayQty (37706): 1
            ReferenceID (9633): 1
            OrderUpdateAction (37708): Delete
If built correctly, my data feed should work on historical data and expose the same API as live trading, this way I can do both backtesting and live trading with the same data feed.

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  #4 (permalink)
Amsterdam, Netherlands
 
 
Posts: 9 since Feb 2015
Thanks: 0 given, 6 received

My data feed needs to sit on top of a data stream, in live trading I need to decode the ethernet packets that arrive on my server, as follows:

 
Code
    match msg {
        Ok((header, msg)) => {
            msg_count += 1;
            let eth = ethernet_parse(&msg);
            if let ProtocolType::IPv4 = eth.type {
                // decode IP from payload
                // decode UDP from payload
        },
       Err(e) => println!("{:?}", e),
    }

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  #5 (permalink)
charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 379 since Jan 2015
Thanks: 69 given, 918 received

This sounds interesting!

Hi littlecompscigirl,

This sounds like an interesting undertaking. I have a few questions.

1. What API, Platform, and programming language are you working with?

2. What data provider are you working with to get your data?

3. What made you want to pursue a custom route like this vs. just using an existing retail system?

4. How do you plan to handle back testing? Accessing a data stream is one thing, but building a simulation engine is no small undertaking. Is this something that you are actively planning on?

5. If and when you complete this, what are your goals. Do you plan to trade with this, sell or license it others, etc?


Thanks for taking the time to share this with us!

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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